output
20102024
most citedTowards Pricing Financial Derivatives with an IBM Quantum Computer

63 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions

5 papers

cs.LG2024

Mutatis Mutandis: Revisiting the Comparator in Discrimination Testing

Jose M. Alvarez, Salvatore Ruggieri

Testing for individual discrimination involves deriving a profile, the comparator, similar to the one making the discrimination claim, the complainant, based on a protected attribu…

quant-ph2021★ 20 cited

Efficient Hamiltonian Simulation for Solving Option Price Dynamics

Javier Gonzalez-Conde, Ángel Rodríguez-Rozas, Enrique Solano +1

Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price…

quant-ph2019★ 63 cited

Towards Pricing Financial Derivatives with an IBM Quantum Computer

Ana Martin, Bruno Candelas, Ángel Rodríguez-Rozas +6

Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic d…

q-fin.RM2011

Applying hedging strategies to estimate model risk and provision calculation

Alberto Elices, Eduard Giménez

This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. Th…

q-fin.PR2010

Perturbed Copula: Introducing the skew effect in the co-dependence

Alberto Elices, Jean-Pierre Fouque

Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian cop…